<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<title>OptionsPricing: testCalibration.py Source File</title>

<link href="tabs.css" rel="stylesheet" type="text/css"/>
<link href="doxygen.css" rel="stylesheet" type="text/css" />

<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/javascript">
  $(document).ready(function() { searchBox.OnSelectItem(0); });
</script>

</head>
<body>
<div id="top"><!-- do not remove this div! -->


<div id="titlearea">
<table cellspacing="0" cellpadding="0">
 <tbody>
 <tr style="height: 56px;">
  
  
  <td style="padding-left: 0.5em;">
   <div id="projectname">OptionsPricing
   
   </div>
   
  </td>
  
  
  
 </tr>
 </tbody>
</table>
</div>

<!-- Generated by Doxygen 1.7.5.1 -->
<script type="text/javascript">
var searchBox = new SearchBox("searchBox", "search",false,'Search');
</script>
  <div id="navrow1" class="tabs">
    <ul class="tablist">
      <li><a href="index.html"><span>Main&#160;Page</span></a></li>
      <li><a href="annotated.html"><span>Classes</span></a></li>
      <li class="current"><a href="files.html"><span>Files</span></a></li>
      <li><a href="dirs.html"><span>Directories</span></a></li>
      <li>
        <div id="MSearchBox" class="MSearchBoxInactive">
        <span class="left">
          <img id="MSearchSelect" src="search/mag_sel.png"
               onmouseover="return searchBox.OnSearchSelectShow()"
               onmouseout="return searchBox.OnSearchSelectHide()"
               alt=""/>
          <input type="text" id="MSearchField" value="Search" accesskey="S"
               onfocus="searchBox.OnSearchFieldFocus(true)" 
               onblur="searchBox.OnSearchFieldFocus(false)" 
               onkeyup="searchBox.OnSearchFieldChange(event)"/>
          </span><span class="right">
            <a id="MSearchClose" href="javascript:searchBox.CloseResultsWindow()"><img id="MSearchCloseImg" border="0" src="search/close.png" alt=""/></a>
          </span>
        </div>
      </li>
    </ul>
  </div>
  <div id="navrow2" class="tabs2">
    <ul class="tablist">
      <li><a href="files.html"><span>File&#160;List</span></a></li>
    </ul>
  </div>
  <div id="nav-path" class="navpath">
    <ul>
      <li class="navelem"><a class="el" href="dir_c561bed9bc117923e059a4705c79b8c4.html">regression</a>      </li>
    </ul>
  </div>
</div>
<div class="header">
  <div class="headertitle">
<div class="title">testCalibration.py</div>  </div>
</div>
<div class="contents">
<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">#!/usr/bin/python</span>
<a name="l00002"></a>00002 <span class="comment"># -*- coding: utf-8 -*-</span>
<a name="l00003"></a>00003 
<a name="l00004"></a>00004 <span class="comment"># Copyright (c) 2011</span>
<a name="l00005"></a>00005 <span class="comment">#</span>
<a name="l00006"></a>00006 <span class="comment"># Permission is hereby granted, free of charge, to any person obtaining a</span>
<a name="l00007"></a>00007 <span class="comment"># copy of this software and associated documentation files (the &quot;Software&quot;),</span>
<a name="l00008"></a>00008 <span class="comment"># to deal in the Software without restriction, including without limitation</span>
<a name="l00009"></a>00009 
<a name="l00010"></a>00010 <span class="comment"># the rights to use, copy, modify, merge, publish, distribute, sublicense,</span>
<a name="l00011"></a>00011 <span class="comment"># and/or sell copies of the Software, and to permit persons to whom the</span>
<a name="l00012"></a>00012 <span class="comment"># Software is furnished to do so, subject to the following conditions:</span>
<a name="l00013"></a>00013 <span class="comment">#</span>
<a name="l00014"></a>00014 <span class="comment"># The above copyright notice and this permission notice shall be included in</span>
<a name="l00015"></a>00015 <span class="comment"># all copies or substantial portions of the Software.</span>
<a name="l00016"></a>00016 <span class="comment">#</span>
<a name="l00017"></a>00017 <span class="comment"># THE SOFTWARE IS PROVIDED &quot;AS IS&quot;, WITHOUT WARRANTY OF ANY KIND, EXPRESS OR</span>
<a name="l00018"></a>00018 <span class="comment"># IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,</span>
<a name="l00019"></a>00019 <span class="comment"># FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE</span>
<a name="l00020"></a>00020 <span class="comment"># AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER</span>
<a name="l00021"></a>00021 <span class="comment"># LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,</span>
<a name="l00022"></a>00022 <span class="comment"># OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE</span>
<a name="l00023"></a>00023 <span class="comment"># SOFTWARE.</span>
<a name="l00024"></a>00024 <span class="comment">#</span>
<a name="l00025"></a>00025 <span class="comment"># Author: Jesus Carrero &lt;j.o.carrero@gmail.com&gt;</span>
<a name="l00026"></a>00026 <span class="comment"># Mountain View, CA</span>
<a name="l00027"></a>00027 <span class="comment">#</span>
<a name="l00028"></a>00028 
<a name="l00029"></a>00029 <span class="keyword">from</span> itertools <span class="keyword">import</span> izip, count
<a name="l00030"></a>00030 
<a name="l00031"></a>00031 <span class="keyword">from</span> numpy <span class="keyword">import</span> meshgrid
<a name="l00032"></a>00032 
<a name="l00033"></a>00033 <span class="keyword">from</span> scipy.linalg <span class="keyword">import</span> norm
<a name="l00034"></a>00034 <span class="keyword">from</span> scipy <span class="keyword">import</span> array, exp, empty, asarray
<a name="l00035"></a>00035 <span class="keyword">from</span> scipy <span class="keyword">import</span> linspace, ones, r_, c_
<a name="l00036"></a>00036 
<a name="l00037"></a>00037 <span class="keyword">from</span> models.CalibVolCurve <span class="keyword">import</span> CalibVolCurve
<a name="l00038"></a>00038 <span class="keyword">from</span> models.CalibVolSurfCCE <span class="keyword">import</span> CalibVolSurfCCE
<a name="l00039"></a>00039 <span class="keyword">from</span> models.CalibrateD_VolSurface <span class="keyword">import</span> CalibrateDVS
<a name="l00040"></a>00040 
<a name="l00041"></a>00041 <span class="keyword">from</span> models.AnalyticalFormulas <span class="keyword">import</span> vanillaCallPrice, \
<a name="l00042"></a>00042     vanillaPutPrice, vegaVanilla
<a name="l00043"></a>00043 
<a name="l00044"></a>00044 <span class="keyword">from</span> input_output.DerivativePlots <span class="keyword">import</span> DerivativePlots
<a name="l00045"></a>00045 
<a name="l00046"></a>00046 <span class="keyword">from</span> utils.MainLog <span class="keyword">import</span> runGlobalLogger
<a name="l00047"></a>00047 <span class="keyword">import</span> unittest
<a name="l00048"></a>00048 
<a name="l00049"></a>00049 
<a name="l00050"></a>00050 <span class="keyword">class </span>CalVolTestSuite(unittest.TestCase):
<a name="l00051"></a>00051 
<a name="l00052"></a>00052     <span class="keyword">def </span>setUp(self):
<a name="l00053"></a>00053 
<a name="l00054"></a>00054         <span class="comment"># market data</span>
<a name="l00055"></a>00055 
<a name="l00056"></a>00056         self.m_r = float(0.05)
<a name="l00057"></a>00057         self.q = 0.0
<a name="l00058"></a>00058 
<a name="l00059"></a>00059         <span class="comment"># contract description :)</span>
<a name="l00060"></a>00060 
<a name="l00061"></a>00061         sprices = asarray([[40], [35], [40], [40]])
<a name="l00062"></a>00062         self.m_strikes = asarray([30, 30, 45, 30])
<a name="l00063"></a>00063         self.m_prices = asarray([float(S) <span class="keywordflow">for</span> S <span class="keywordflow">in</span> sprices])
<a name="l00064"></a>00064         self.m_cstyles = [<span class="stringliteral">&#39;E&#39;</span>, <span class="stringliteral">&#39;E&#39;</span>, <span class="stringliteral">&#39;E&#39;</span>, <span class="stringliteral">&#39;E&#39;</span>]
<a name="l00065"></a>00065         self.m_contract = [<span class="stringliteral">&#39;C&#39;</span>, <span class="stringliteral">&#39;C&#39;</span>, <span class="stringliteral">&#39;C&#39;</span>, <span class="stringliteral">&#39;C&#39;</span>]
<a name="l00066"></a>00066         self.m_t2mat = asarray([.4, .2, 1., .2])
<a name="l00067"></a>00067 
<a name="l00068"></a>00068         <span class="comment"># market value</span>
<a name="l00069"></a>00069 
<a name="l00070"></a>00070         self.sigmas = asarray([.4, .5, .3, .2])
<a name="l00071"></a>00071         call_prices = asarray([vanillaCallPrice(S0, K, self.m_r, sg,
<a name="l00072"></a>00072                               tm) <span class="keywordflow">for</span> (S0, K, sg, tm) <span class="keywordflow">in</span> zip(sprices,
<a name="l00073"></a>00073                               self.m_strikes, self.sigmas,
<a name="l00074"></a>00074                               self.m_t2mat)])
<a name="l00075"></a>00075 
<a name="l00076"></a>00076         put_prices = asarray([vanillaPutPrice(S0, K, self.m_r, sg, tm)
<a name="l00077"></a>00077                              <span class="keywordflow">for</span> (S0, K, sg, tm) <span class="keywordflow">in</span> zip(sprices,
<a name="l00078"></a>00078                              self.m_strikes, self.sigmas,
<a name="l00079"></a>00079                              self.m_t2mat)])
<a name="l00080"></a>00080 
<a name="l00081"></a>00081         self.exact_sol = r_[put_prices[0:2].flatten(),
<a name="l00082"></a>00082                            call_prices[2:].flatten()]
<a name="l00083"></a>00083         self.exact_sol = call_prices
<a name="l00084"></a>00084 
<a name="l00085"></a>00085         <span class="comment"># optimizatio engine</span>
<a name="l00086"></a>00086 
<a name="l00087"></a>00087         self.m_regularization = .5
<a name="l00088"></a>00088         self.max_num_iter = 50
<a name="l00089"></a>00089         self.m_random_trails = <span class="keyword">False</span>
<a name="l00090"></a>00090 
<a name="l00091"></a>00091         <span class="comment"># numerical PDE</span>
<a name="l00092"></a>00092 
<a name="l00093"></a>00093         self.ntime_steps = 200
<a name="l00094"></a>00094         self.m_nsegs = 20
<a name="l00095"></a>00095 
<a name="l00096"></a>00096 
<a name="l00097"></a><a class="code" href="classtestCalibration_1_1CalCurve.html">00097</a> <span class="keyword">class </span><a class="code" href="classtestCalibration_1_1CalCurve.html">CalCurve</a>(CalVolTestSuite):
<a name="l00098"></a>00098     <span class="stringliteral">&quot;&quot;&quot; calibrate volatility curve. &quot;&quot;&quot;</span>
<a name="l00099"></a>00099 
<a name="l00100"></a><a class="code" href="classtestCalibration_1_1CalCurve.html#ae63574b8b5518d0c2dc13139783c3f60">00100</a>     <span class="keyword">def </span><a class="code" href="classtestCalibration_1_1CalCurve.html#ae63574b8b5518d0c2dc13139783c3f60">runTest</a>(self):
<a name="l00101"></a>00101         <span class="stringliteral">&quot;&quot;&quot; 1. - instantiate the engine.</span>
<a name="l00102"></a>00102 <span class="stringliteral">            2. - set calibration data.</span>
<a name="l00103"></a>00103 <span class="stringliteral">            3. - set initial guess.</span>
<a name="l00104"></a>00104 <span class="stringliteral">            4. - set calibration method.</span>
<a name="l00105"></a>00105 <span class="stringliteral">            5. - calibrate.</span>
<a name="l00106"></a>00106 <span class="stringliteral">        &quot;&quot;&quot;</span>
<a name="l00107"></a>00107 
<a name="l00108"></a>00108         calb_vol_curve = <a class="code" href="classmodels_1_1CalibVolCurve_1_1CalibVolCurve.html">CalibVolCurve</a>()
<a name="l00109"></a>00109         calb_vol_curve.set_grid_spacing(self.ntime_steps, self.m_nsegs)
<a name="l00110"></a>00110 
<a name="l00111"></a>00111         (ki, si, r) = (self.m_strikes, self.m_prices, self.m_r)
<a name="l00112"></a>00112         (ti, style) = (self.m_t2mat, self.m_cstyles)
<a name="l00113"></a>00113         calb_vol_curve.set_cal_data(ki, si, r, ti, style, self.m_contract)
<a name="l00114"></a>00114         calb_vol_curve.set_market_value(self.exact_sol)
<a name="l00115"></a>00115 
<a name="l00116"></a>00116         <span class="comment"># constant inital volatility.</span>
<a name="l00117"></a>00117 
<a name="l00118"></a>00118         calb_vol_curve.set_initial_guess([.1])
<a name="l00119"></a>00119 
<a name="l00120"></a>00120         calb_vol_curve.set_cal_method(<span class="stringliteral">&#39;fmin&#39;</span>)
<a name="l00121"></a>00121         (m_t2M, sig) = calb_vol_curve.calibrate()
<a name="l00122"></a>00122         <span class="keywordflow">print</span> <span class="stringliteral">&#39;initial Guess &#39;</span>, pow(.2, 2), <span class="stringliteral">&#39; calibrated vol &#39;</span>, pow(sig, 2)
<a name="l00123"></a>00123         <span class="keywordflow">print</span> <span class="stringliteral">&#39;vol for generating data &#39;</span>, pow(self.sigmas, 2)
<a name="l00124"></a>00124 
<a name="l00125"></a>00125 
<a name="l00126"></a><a class="code" href="classtestCalibration_1_1CalSurface.html">00126</a> <span class="keyword">class </span><a class="code" href="classtestCalibration_1_1CalSurface.html">CalSurface</a>(CalVolTestSuite):
<a name="l00127"></a>00127     <span class="stringliteral">&quot;&quot;&quot; Test Calibrating volatility surface as in the paper. &quot;&quot;&quot;</span>
<a name="l00128"></a>00128 
<a name="l00129"></a><a class="code" href="classtestCalibration_1_1CalSurface.html#a2e059412cfbc090d0ef7eefe2aaed16e">00129</a>     <span class="keyword">def </span><a class="code" href="classtestCalibration_1_1CalSurface.html#a2e059412cfbc090d0ef7eefe2aaed16e">runTest</a>(self):
<a name="l00130"></a>00130         <span class="stringliteral">&quot;&quot;&quot; 1.- instantiate engine.</span>
<a name="l00131"></a>00131 <span class="stringliteral">            2.- set calibration domain.</span>
<a name="l00132"></a>00132 <span class="stringliteral">            3.- set calibration data.</span>
<a name="l00133"></a>00133 <span class="stringliteral">            4.- set initial guess.</span>
<a name="l00134"></a>00134 <span class="stringliteral">            5.- calibrate.</span>
<a name="l00135"></a>00135 <span class="stringliteral">         &quot;&quot;&quot;</span>
<a name="l00136"></a>00136 
<a name="l00137"></a>00137         calib_vol_surface = CalibrateDVS()
<a name="l00138"></a>00138 
<a name="l00139"></a>00139         <span class="comment"># define the grid for the finite element method.</span>
<a name="l00140"></a>00140 
<a name="l00141"></a>00141         (time_grid, grid_price) = (self.ntime_steps, self.m_nsegs)
<a name="l00142"></a>00142         calib_vol_surface.set_grid_spacing(grid_price, time_grid)
<a name="l00143"></a>00143 
<a name="l00144"></a>00144         <span class="comment"># calibration data</span>
<a name="l00145"></a>00145 
<a name="l00146"></a>00146         (ki, si, r) = (self.m_strikes, self.m_prices, self.m_r)
<a name="l00147"></a>00147         (ti, style) = (self.m_t2mat, self.m_cstyles)
<a name="l00148"></a>00148         calib_vol_surface.set_cal_data(ki, si, r, ti, style, self.m_contract)
<a name="l00149"></a>00149 
<a name="l00150"></a>00150         <span class="comment"># constant inital volatility.</span>
<a name="l00151"></a>00151 
<a name="l00152"></a>00152         calib_vol_surface.set_initial_guess([.35])
<a name="l00153"></a>00153 
<a name="l00154"></a>00154         calb_vol_curve.set_cal_method(<span class="stringliteral">&#39;fmin&#39;</span>)
<a name="l00155"></a>00155         (time_2m, sig) = calib_vol_surface.calibrate()
<a name="l00156"></a>00156 
<a name="l00157"></a>00157 
<a name="l00158"></a><a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html">00158</a> <span class="keyword">class </span><a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html">CalibVolSurfaceCCE</a>(CalVolTestSuite):
<a name="l00159"></a>00159     <span class="stringliteral">&quot;&quot;&quot; calibrate volatility surface solving a pde fix point problem. &quot;&quot;&quot;</span>
<a name="l00160"></a>00160 
<a name="l00161"></a>00161     @classmethod
<a name="l00162"></a><a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a101556935c5f1f9559a69688c7990579">00162</a>     <span class="keyword">def </span><a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a101556935c5f1f9559a69688c7990579">vol_exact_scalar</a>(cls, stock_price):
<a name="l00163"></a>00163         <span class="stringliteral">&quot;&quot;&quot; exact solution. &quot;&quot;&quot;</span>
<a name="l00164"></a>00164 
<a name="l00165"></a>00165         <span class="keywordflow">return</span> 2. + 0.1 * exp( -0.2 * stock_price[0] )
<a name="l00166"></a>00166 
<a name="l00167"></a>00167     @classmethod
<a name="l00168"></a><a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a30e174ab17506deb919c12195f8308c2">00168</a>     <span class="keyword">def </span><a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a30e174ab17506deb919c12195f8308c2">vol_exact</a>(cls, stock_price):
<a name="l00169"></a>00169         <span class="stringliteral">&quot;&quot;&quot; exact solution. &quot;&quot;&quot;</span>
<a name="l00170"></a>00170 
<a name="l00171"></a>00171         tmp = stock_price[:, 0].reshape((stock_price[:, 0].size, 1))
<a name="l00172"></a>00172 
<a name="l00173"></a>00173         <span class="comment"># matplot tends to behave wier when too much precision is</span>
<a name="l00174"></a>00174         <span class="comment"># pump in and the range of variation is small</span>
<a name="l00175"></a>00175         <span class="keywordflow">return</span> 2. + 0.1 * exp( -0.2 * tmp )
<a name="l00176"></a>00176 
<a name="l00177"></a><a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#af2080506a286e84128ed2c90232ed0e0">00177</a>     <span class="keyword">def </span><a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#af2080506a286e84128ed2c90232ed0e0">setUp</a>(self):
<a name="l00178"></a>00178         <span class="stringliteral">&quot;&quot;&quot; initialize all the needed variables. &quot;&quot;&quot;</span>
<a name="l00179"></a>00179 
<a name="l00180"></a>00180         self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#af7efadf58fc3ccfa75fad771bb15012b">m_r</a> = float(0.05)
<a name="l00181"></a>00181         self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#afb84ac389c2350569cfacacaa0ac64dc">m_price_enigine</a> = vanillaCallPrice
<a name="l00182"></a>00182         self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a4936896e44f44416003ee2ccbe34cb04">m_vega</a> = vegaVanilla
<a name="l00183"></a>00183         self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a13903c3df00bb3448341481c438c5ba3">m_stock_prices</a> = asarray(linspace(60, 100, 10))
<a name="l00184"></a>00184         self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a10a98b5f8ff7ddb91b72f86e24ab9490">m_strikes</a> = asarray(linspace(50, 90, 10))
<a name="l00185"></a>00185         self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a2492276407e5cbc9f57a2a0540b6ff78">m_t2m</a> = 10 * ones(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a10a98b5f8ff7ddb91b72f86e24ab9490">m_strikes</a>.size) / 254.  <span class="comment"># 10 days</span>
<a name="l00186"></a>00186 
<a name="l00187"></a>00187         self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a2492276407e5cbc9f57a2a0540b6ff78">m_t2m</a>[3:6] *= 2.
<a name="l00188"></a>00188 
<a name="l00189"></a>00189         self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a2492276407e5cbc9f57a2a0540b6ff78">m_t2m</a>[7:10] *= 3.
<a name="l00190"></a>00190 
<a name="l00191"></a>00191         <span class="comment"># generate call prices:</span>
<a name="l00192"></a>00192 
<a name="l00193"></a>00193         self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a2d91602fde6b318f1bd191cee9fea301">m_prices</a> = empty(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a10a98b5f8ff7ddb91b72f86e24ab9490">m_strikes</a>.shape)
<a name="l00194"></a>00194         <span class="keywordflow">for</span> (i, val) <span class="keywordflow">in</span> izip(count(), c_[c_[self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a13903c3df00bb3448341481c438c5ba3">m_stock_prices</a>,
<a name="l00195"></a>00195                              self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a10a98b5f8ff7ddb91b72f86e24ab9490">m_strikes</a>], self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a2492276407e5cbc9f57a2a0540b6ff78">m_t2m</a>]):
<a name="l00196"></a>00196             (price, strike, t2m) = val
<a name="l00197"></a>00197             self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a2d91602fde6b318f1bd191cee9fea301">m_prices</a>[i] = self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#afb84ac389c2350569cfacacaa0ac64dc">m_price_enigine</a>([price], strike, self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#af7efadf58fc3ccfa75fad771bb15012b">m_r</a>,
<a name="l00198"></a>00198                     self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a101556935c5f1f9559a69688c7990579">vol_exact_scalar</a>(array([price, t2m])), t2m)
<a name="l00199"></a>00199 
<a name="l00200"></a>00200     <span class="keyword">def </span>runTest(self):
<a name="l00201"></a>00201 
<a name="l00202"></a>00202         <span class="comment"># (x, y) ~ (stoke price, time change)</span>
<a name="l00203"></a>00203         <span class="comment"># set boundary conditions</span>
<a name="l00204"></a>00204 
<a name="l00205"></a>00205         (smin, smax) = (min(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a13903c3df00bb3448341481c438c5ba3">m_stock_prices</a>) - 10.0,
<a name="l00206"></a>00206                         max(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a13903c3df00bb3448341481c438c5ba3">m_stock_prices</a>) + 10.0)
<a name="l00207"></a>00207         (tmin, tmax) = (min(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a2492276407e5cbc9f57a2a0540b6ff78">m_t2m</a>) - 0.020, max(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a2492276407e5cbc9f57a2a0540b6ff78">m_t2m</a>)
<a name="l00208"></a>00208                         + 0.020)
<a name="l00209"></a>00209         (delta_x, delta_y) = (1.5, 0.009)
<a name="l00210"></a>00210 
<a name="l00211"></a>00211         calisigma = CalibVolSurfCCE()
<a name="l00212"></a>00212         calisigma.set_simu_domain(smin, tmin, smax, tmax)
<a name="l00213"></a>00213 
<a name="l00214"></a>00214         calisigma.set_bott_top(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a30e174ab17506deb919c12195f8308c2">vol_exact</a>, self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a30e174ab17506deb919c12195f8308c2">vol_exact</a>)
<a name="l00215"></a>00215         calisigma.set_xlxr(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a30e174ab17506deb919c12195f8308c2">vol_exact</a>, self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a30e174ab17506deb919c12195f8308c2">vol_exact</a>)
<a name="l00216"></a>00216 
<a name="l00217"></a>00217         calisigma.set_interest_rate(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#af7efadf58fc3ccfa75fad771bb15012b">m_r</a>)
<a name="l00218"></a>00218         calisigma.set_dx_dy(delta_x, delta_y)
<a name="l00219"></a>00219 
<a name="l00220"></a>00220         <span class="comment"># TODO REMOVE load will be reset at each iteration</span>
<a name="l00221"></a>00221         <span class="comment"># calisigma.set_load(None)</span>
<a name="l00222"></a>00222 
<a name="l00223"></a>00223         <span class="comment"># set market data, and analytic option pricer.</span>
<a name="l00224"></a>00224         calisigma.set_calibration_data(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a10a98b5f8ff7ddb91b72f86e24ab9490">m_strikes</a>, self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a2492276407e5cbc9f57a2a0540b6ff78">m_t2m</a>,
<a name="l00225"></a>00225                 self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a2d91602fde6b318f1bd191cee9fea301">m_prices</a>)
<a name="l00226"></a>00226         calisigma.set_analytical_enginee(self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#afb84ac389c2350569cfacacaa0ac64dc">m_price_enigine</a>,
<a name="l00227"></a>00227                 self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a4936896e44f44416003ee2ccbe34cb04">m_vega</a>)
<a name="l00228"></a>00228 
<a name="l00229"></a>00229         <span class="comment"># Calibration Loop parameters.</span>
<a name="l00230"></a>00230 
<a name="l00231"></a>00231         (tol, niter) = (1.0e-06, 5)
<a name="l00232"></a>00232         calisigma.set_tol_and_niter(tol, niter)
<a name="l00233"></a>00233         calisigma.set_relax_param(.1)
<a name="l00234"></a>00234 
<a name="l00235"></a>00235         <span class="comment"># inital Guess.</span>
<a name="l00236"></a>00236         calisigma.set_initial_guess(0.2)
<a name="l00237"></a>00237 
<a name="l00238"></a>00238         <span class="comment"># Calibrate the model</span>
<a name="l00239"></a>00239 
<a name="l00240"></a>00240         (x_grid, y_grid, sigma) = calisigma.calibrate()
<a name="l00241"></a>00241 
<a name="l00242"></a>00242         <span class="comment"># Post process results.</span>
<a name="l00243"></a>00243 
<a name="l00244"></a>00244         (x_mesh, y_mesh) = meshgrid(x_grid, y_grid)
<a name="l00245"></a>00245         exactsigma = self.<a class="code" href="classtestCalibration_1_1CalibVolSurfaceCCE.html#a30e174ab17506deb919c12195f8308c2">vol_exact</a>(c_[x_mesh.flatten(), y_mesh.flatten()])
<a name="l00246"></a>00246         error_l2 = norm(sigma.flatten() - exactsigma)
<a name="l00247"></a>00247 
<a name="l00248"></a>00248         plot_results = <span class="keyword">True</span>
<a name="l00249"></a>00249         <span class="keywordflow">if</span> plot_results:
<a name="l00250"></a>00250             plot_engine = <a class="code" href="classinput__output_1_1DerivativePlots_1_1DerivativePlots.html">DerivativePlots</a>()
<a name="l00251"></a>00251             plot_engine.set_vol_surface(x_mesh, y_mesh, sigma,
<a name="l00252"></a>00252                                  exactsigma.reshape(sigma.shape))
<a name="l00253"></a>00253 
<a name="l00254"></a>00254             plot_engine.plot_vol_surfaces()
<a name="l00255"></a>00255         <span class="keywordflow">print</span> <span class="stringliteral">&#39; Error : &#39;</span>, error_l2
<a name="l00256"></a>00256         <span class="keyword">assert</span> error_l2 &lt; 1.0e-06
<a name="l00257"></a>00257 
<a name="l00258"></a>00258 
<a name="l00259"></a>00259 <span class="keyword">def </span>my_suite():
<a name="l00260"></a>00260 
<a name="l00261"></a>00261     suite = unittest.TestSuite()
<a name="l00262"></a>00262 
<a name="l00263"></a>00263     suite.addTest(<a class="code" href="classtestCalibration_1_1CalCurve.html">CalCurve</a>())
<a name="l00264"></a>00264     <span class="comment">#suite.addTest(CalSurface())</span>
<a name="l00265"></a>00265     <span class="comment">#suite.addTest(CalibVolSurfaceCCE())</span>
<a name="l00266"></a>00266 
<a name="l00267"></a>00267     <span class="keywordflow">return</span> suite
<a name="l00268"></a>00268 
<a name="l00269"></a>00269 
<a name="l00270"></a>00270 <span class="keywordflow">if</span> __name__ == <span class="stringliteral">&#39;__main__&#39;</span>:
<a name="l00271"></a>00271 
<a name="l00272"></a>00272     runGlobalLogger()
<a name="l00273"></a>00273     runner = unittest.TextTestRunner(verbosity=2)
<a name="l00274"></a>00274     result = runner.run(my_suite())
<a name="l00275"></a>00275 
</pre></div></div>
</div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
     onmouseover="return searchBox.OnSearchSelectShow()"
     onmouseout="return searchBox.OnSearchSelectHide()"
     onkeydown="return searchBox.OnSearchSelectKey(event)">
<a class="SelectItem" href="javascript:void(0)" onclick="searchBox.OnSelectItem(0)"><span class="SelectionMark">&#160;</span>All</a><a class="SelectItem" href="javascript:void(0)" onclick="searchBox.OnSelectItem(1)"><span class="SelectionMark">&#160;</span>Classes</a><a class="SelectItem" href="javascript:void(0)" onclick="searchBox.OnSelectItem(2)"><span class="SelectionMark">&#160;</span>Functions</a></div>

<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0" 
        name="MSearchResults" id="MSearchResults">
</iframe>
</div>



<hr class="footer"/><address class="footer"><small>
Generated on Thu Dec 22 2011 05:17:53 for OptionsPricing by &#160;<a href="http://www.doxygen.org/index.html">
<img class="footer" src="doxygen.png" alt="doxygen"/>
</a> 1.7.5.1
</small></address>

</body>
</html>
